Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0431 |
| Annualized Std Dev | 0.1925 |
| Annualized Sharpe (Rf=0%) | -0.2240 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3012.0000 |
| NAs | 1.0000 |
| Minimum | -0.0642 |
| Quartile 1 | -0.0070 |
| Median | 0.0000 |
| Arithmetic Mean | -0.0001 |
| Geometric Mean | -0.0002 |
| Quartile 3 | 0.0069 |
| Maximum | 0.0698 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0005 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0121 |
| Skewness | 0.0273 |
| Kurtosis | 2.2007 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0086 |
| Gain Deviation | 0.0081 |
| Loss Deviation | 0.0081 |
| Downside Deviation (MAR=210%) | 0.0139 |
| Downside Deviation (Rf=0%) | 0.0086 |
| Downside Deviation (0%) | 0.0086 |
| Maximum Drawdown | 0.6338 |
| Historical VaR (95%) | -0.0193 |
| Historical ES (95%) | -0.0274 |
| Modified VaR (95%) | -0.0194 |
| Modified ES (95%) | -0.0277 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2009-11-27 | 2020-03-20 | NA | -0.6338 | 2761 | 2509 | NA |
| 2008-12-18 | 2009-03-05 | 2009-09-09 | -0.2468 | 182 | 52 | 130 |
| 2008-11-26 | 2008-12-01 | 2008-12-10 | -0.0572 | 10 | 3 | 7 |
| 2009-10-23 | 2009-11-03 | 2009-11-25 | -0.0446 | 24 | 8 | 16 |
| 2009-09-23 | 2009-10-01 | 2009-10-13 | -0.0368 | 15 | 7 | 8 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | -1.3 | -1.2 | -2.4 |
| 2009 | -2.9 | -0.6 | -0.7 | 0.3 | 0.5 | 1.3 | 2.8 | -1.6 | -1.2 | -1.2 | 0.7 | -0.5 | -3.1 |
| 2010 | 0.6 | -0.9 | 0.9 | 1.2 | -0.6 | 4.9 | -0.4 | 1.7 | 2.2 | -0.5 | 2.3 | 1.5 | 13.3 |
| 2011 | 2 | -0.4 | 0.8 | 0.1 | -0.6 | 0.4 | -1.6 | -1.5 | -2.3 | -2.4 | 0.5 | -0.4 | -5.5 |
| 2012 | 1.1 | -0.3 | 0.9 | -0.2 | 0.8 | 3.2 | -1 | 1.5 | 1.5 | -0.6 | 0.4 | -0.2 | 7.4 |
| 2013 | 1.2 | -0.6 | 0.2 | 0.5 | -1.6 | 2.1 | -0.1 | -0.3 | 0.2 | -1.1 | 0.2 | -0.2 | 0.4 |
| 2014 | -1 | 1.1 | -0.7 | -0.5 | 0.1 | -0.4 | 0.2 | -0.6 | 0.4 | -1.2 | 1.3 | -0.9 | -2.1 |
| 2015 | -0.6 | 0 | 0.2 | -0.4 | -1.1 | -1.9 | 0.8 | 1.6 | 0.6 | 0.4 | 1.1 | -1.2 | -0.6 |
| 2016 | 0.8 | -0.4 | 0 | 1.9 | 1.2 | 1 | -0.4 | 0.8 | 0.3 | 1.4 | 1.4 | 0.7 | 9 |
| 2017 | -0.7 | -1.3 | 0.1 | 0.1 | -0.6 | -0.4 | -0.2 | -0.8 | 0.5 | -0.5 | 0.2 | 0.9 | -2.8 |
| 2018 | 1.5 | 0.9 | -0.3 | -1.4 | -0.7 | 1.7 | -0.6 | -1.2 | -0.6 | 1.5 | -1.3 | 0.4 | -0.1 |
| 2019 | 0.2 | -0.3 | -0.3 | -0.6 | 0.6 | -1.5 | 0.4 | -1.6 | 0.7 | 0.4 | 0.4 | 0 | -1.6 |
| 2020 | 1 | 0.5 | -1.4 | 0.4 | 0.8 | 0.2 | -1.3 | -0.7 | 0.5 | -0.8 | 3 | -1.3 | 0.8 |
| 2021 | -1 | -0.6 | 0.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -1.3 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2008-11-25 25.4 SPY 85.7 0.0074 -0.0163 0.0204 -0.334 -0.399 -0.326 -0.189 GLD 80.9 -0.0005 0.115
2 2008-11-26 25.1 SPY 89.0 0.0386 0.0917 -0.0511 -0.317 -0.395 -0.300 -0.161 GLD 80.4 -0.0061 0.112
3 2008-11-28 24.2 SPY 90.1 0.0126 0.194 -0.0321 -0.300 -0.388 -0.286 -0.153 GLD 80.3 -0.0009 0.0934
4 2008-12-01 23.9 SPY 82.1 -0.0886 0.0326 -0.147 -0.358 -0.448 -0.349 -0.229 GLD 75.6 -0.058 -0.0406
5 2008-12-02 24.3 SPY 85.3 0.0385 0.0028 -0.119 -0.333 -0.423 -0.320 -0.208 GLD 77.0 0.0172 -0.0489
6 2008-12-03 24.1 SPY 87.3 0.024 0.0194 -0.101 -0.296 -0.403 -0.311 -0.186 GLD 76.2 -0.01 -0.058
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
